Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0116
Annualized Std Dev 0.2401
Annualized Sharpe (Rf=0%) 0.0485

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1667
Quartile 1 -0.0056
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0072
Maximum 0.1387
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0151
Skewness -0.7537
Kurtosis 14.0511

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0103
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.7908
Historical VaR (95%) -0.0229
Historical ES (95%) -0.0377
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0505
From Trough To Depth Length To Trough Recovery
2007-02-27 2009-03-09 NA -0.7908 3542 512 NA
2002-04-22 2003-03-12 2004-11-04 -0.4101 642 225 417
2001-05-23 2001-09-21 2002-03-01 -0.2487 191 81 110
1999-01-07 1999-03-24 2000-08-14 -0.2251 405 53 352
2001-02-16 2001-03-22 2001-05-22 -0.1692 66 24 42

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.5 0.6 0 -0.9 1.4 0 1.5 -1 -0.5 -0.5 1 0.9
2000 -3.6 0.5 0.5 2.4 1.4 -0.5 0.5 -0.4 0.9 0.5 0.9 0 2.8
2001 -0.1 -0.1 0.4 0.2 -0.4 1.1 -0.2 -0.2 -1.4 1.9 0.3 -0.1 1.5
2002 1.2 1.3 -0.8 0.4 2.5 -3 -1.7 -1.2 4.5 0.9 0.1 -0.2 3.9
2003 0.6 1.1 0.3 -0.3 2 0.1 -1 0.2 2.7 0.3 0.8 1.2 8.4
2004 0 0.8 1.2 -2.8 0.7 -1.5 0.4 0.8 1.3 -0.8 1 1.7 2.8
2005 1.7 0.9 -0.3 0.9 0.1 0.5 -0.5 -1.6 0.3 -0.1 1.1 0 3.1
2006 0.5 0.4 -0.3 -0.5 2 0.1 -0.5 -1.9 0.2 -0.7 -0.7 -0.1 -1.7
2007 0.4 -0.6 -0.1 0.7 1.1 -0.4 -1.2 0.9 1.1 -1.5 2.2 0.8 3.3
2008 1.6 -2.3 4.2 1.1 0.9 -0.3 -0.7 -0.4 1.1 3 -10.4 3.7 0.8
2009 -3.1 -3.9 1 1.3 4.4 1.7 0.4 -2.8 -2.2 -3.5 1.9 -0.3 -5.3
2010 1.3 2.2 1.1 -2.3 -3 -1.5 0.1 3.5 0.7 -0.1 3 0.1 4.9
2011 2 -1.4 0.5 0.6 -2.5 1.3 -0.4 -3.8 -2.1 -3.9 0.5 1 -8.3
2012 1.9 0.5 -0.2 -0.4 -2.9 2.5 -1.2 0.3 0.2 1.7 0.4 1.6 4.3
2013 0.9 0.4 -0.8 -1 -1.2 0.7 1 -0.9 -0.3 0.6 -0.1 -0.2 -0.9
2014 -0.7 0.9 0.3 -0.2 -0.3 0.8 -1.2 0.6 -0.7 2.1 -2.4 -0.4 -1.1
2015 -1.1 -0.2 -0.6 0.7 0.4 0.2 0.5 -1.6 -1 -0.1 1 0.3 -1.7
2016 0.4 1.9 -0.4 -0.2 0.7 1 -0.9 -0.1 0.4 -0.6 -0.2 -0.2 1.7
2017 0.9 1.4 -0.1 0.2 1.3 0.6 -0.2 1.1 0.8 -0.3 -0.6 0.6 5.7
2018 -0.4 -0.8 1.2 -1.9 0.7 0.3 0 0.2 -0.6 2.1 0.4 0.5 1.7
2019 0 0.2 1 -0.1 -1.2 0.8 -1.2 0.3 -1.7 1.5 -0.2 0.5 -0.3
2020 -1.8 -2.8 -6.6 -3.9 1.4 -0.6 -0.2 1 0.9 -1.5 1.6 -0.1 -12.2
2021 2.8 2.6 0.2 NA NA NA NA NA NA NA NA NA 5.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.1 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.2 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.2 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.2 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart